|
|||||
|
|
A truly global crisis? Evidence from contagion dependence across international REIT markets |
|
| Institution: | 1. Department of Business Administration National Taipei University, 151, University Rd, San Shia District, New Taipei City 23741, Taiwan;2. College of Management, Yuan Ze University, Taiwan;1. Institute of Business and Management, National Yang Ming Chiao Tung University, 118 Chung-Hsiao West Road, Section 1, Taipei, Taiwan;2. Graduate Institute of Finance, National Taiwan University of Science and Technology, 43, Keelung Rd., Section 4, Taipei, Taiwan;3. Center for General Education, Chung Yuan Christian University, 200 Chung Pei Road, Chung Li District, Taoyuan City, Taiwan;4. Science and Technology Policy Research and Information Center, National Applied Research Laboratories, 106 Heping East Road, Section 2, Taipei, Taiwan;5. Power Generation Division, Taiwan Power Company, 242, Roosevelt Road, Section 3, Taipei, Taiwan |
| Abstract: | This study examines the global nature of the recent crisis under bivariate Markov-switching models for pre- and post-crisis periods using the breakpoint of August 9, 2007. It quantifies international synchronization of boom-bust regime switches to investigate contagion-type dynamic comovements of Real Estate Investment Trusts (REITs). Global REIT markets display persistent bust regimes from September 2008 to May 2009, whereas the regime-switching patterns are not significant in the pre-crisis period. The results provide new evidence for global REIT contagion phenomena and suggest greater difficulties in diversifying risks across global REIT markets during the post-crisis period. |
| Keywords: | Contagion Bivariate Markov-switching model Real Estate Investment Trusts (REITs) Bust regime Subprime crisis |
| 本文献已被 ScienceDirect 等数据库收录！ | |